FTB-C000596 / Algorithm

ZigZag Segmentation

ZigZag Segmentation is a causal state machine that compresses closes into alternating confirmed swings and one provisional endpoint.

Also known asZigZag

Intermediate Formula defined 1 linked topicEvidence-reviewed

Definitions

In plain terms

It keeps a running high or low until an opposite percentage move confirms the swing.

Technical

The selected variant is close-only, uses a fractional reversal threshold and minimum bar separation, and keeps the latest endpoint provisional.

Scope

The newest endpoint can move; only confirmed swings are locked historical outputs.

Formula

confirm high h when 1 - P_t/P_h >= tau and t-h >= m
LaTeX: 1-\frac{P_t}{P_h}\ge\tau,\quad t-h\ge m
SymbolMeaningUnit
P_tcurrent closeprice
taureversal fractionfraction

Output unit: boolean event

Examples

  • A reviewer computes ZigZag Segmentation on a small deterministic fixture and checks timing, units, and boundary behavior before publication.

Common misconceptions

  • The newest endpoint can move; only confirmed swings are locked historical outputs.

Concept relationships

Prerequisites

Related

Required by

Where this concept is used

Tutorials planned

These catalogued topics use this concept, but their complete build has not shipped yet.

  • D08-F01-A02 Primary

Evidence and governance

  1. Zig Zag indicator QuantConnect · official platform documentation

    Supports: preferred label, short definition, technical definition, formula

    Limits: This package selects a close-only percentage-reversal variant and documents the difference.

  2. LEAN ZigZag source QuantConnect · first party technical publication

    Supports: preferred label, short definition, technical definition, formula

    Limits: A maintained implementation is evidence for one convention, not a universal market rule.

  3. Pine Script repainting concepts TradingView · official platform documentation

    Supports: preferred label, short definition, technical definition, formula

    Limits: Platform display behavior does not establish financial usefulness or predictive value.

  4. Closing Price Investor.gov · official standard

    Supports: preferred label, short definition, technical definition, formula

    Limits: A close is not automatically an adjusted close and may vary by market session convention.

Reviewed by
fintech-builder-batch-011
Last reviewed
2026-08-09
Next review
2027-08-09
Record status
evidence reviewed

This record is evidence-reviewed and readable, but not yet promoted to published — it is served noindex,follow and excluded from the sitemap.

Written by

Fintech engineer building market-data and financial systems, and the author of every article, glossary record, and reference implementation on The Fintech Builder.